Transparent Augmented Black-Litterman Allocation: Simple and Unified Framework for Strategy Combination, Factor Mimicking, Hedging, and Stock-Specific Alphas
Posted: 8 Apr 2009 Last revised: 30 Jan 2024
Date Written: December 1, 2009
Abstract
Suggested Citation: Suggested Citation
Cheung, Wing, Transparent Augmented Black-Litterman Allocation: Simple and Unified Framework for Strategy Combination, Factor Mimicking, Hedging, and Stock-Specific Alphas (December 1, 2009). Available at SSRN: https://ssrn.com/abstract=1347663 or http://dx.doi.org/10.2139/ssrn.1347663
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.